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Working Paper
Do GDP Forecasts Respond Efficiently to Changes in Interest Rates?
In this paper, we examine and extend the results of Ball and Croushore (2003) and Rudebusch and Williams (2009), who show that the output forecasts in the Survey of Professional Forecasters (SPF) are inefficient. Ball and Croushore show that the SPF out-put forecasts are inefficient with respect to changes in monetary policy, as measured by changes in real interest rates, while Rudebusch and Williams show that the forecasts are inefficient with respect to the yield spread. In this paper, we investigate the robustness of both claims of inefficiency, using real-time data and exploring the ...
Working Paper
Recession Signals and Business Cycle Dynamics: Tying the Pieces Together
Examining a parsimonious, yet comprehensive, set of recession signals yields three lessons. First, signals from financial markets, leading indicators of activity, and gauges of the macroeconomic environment are each useful at different horizons, with leading indicators and financial signals informative at short horizons and the state of the business cycle at medium horizons. Second, approaches emphasizing the yield curve overstate the recession signal from the term spread if other factors are not considered; given correlations among indicators, these differences are often small, but were ...